
package org.drip.template.state;

import org.drip.analytics.date.*;
import org.drip.quant.common.FormatUtil;
import org.drip.service.env.EnvManager;
import org.drip.service.template.LatentMarketStateBuilder;
import org.drip.state.credit.CreditCurve;
import org.drip.state.discount.MergedDiscountForwardCurve;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * Copyright (C) 2015 Lakshmi Krishnamurthy
 * 
 *  This file is part of DRIP, a free-software/open-source library for fixed income analysts and developers -
 * 		http://www.credit-trader.org/Begin.html
 * 
 *  DRIP is a free, full featured, fixed income rates, credit, and FX analytics library with a focus towards
 *  	pricing/valuation, risk, and market making.
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *   	you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *  	http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *  	distributed under the License is distributed on an "AS IS" BASIS,
 *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *  	limitations under the License.
 */

/**
 * SurvivalRecoveryState sets up the Calibration and the Construction of the Survival and the Recovery Latent
 *  States and examine the Emitted Metrics.
 * 
 * @author Lakshmi Krishnamurthy
 */

public class SurvivalRecoveryState {

	private static final MergedDiscountForwardCurve OvernightCurve (
		final JulianDate dtSpot,
		final String strCurrency)
		throws Exception
	{
		EnvManager.InitEnv ("");

		String[] astrDepositMaturityTenor = new String[] {
			"1D",
			"2D",
			"3D"
		};

		double[] adblDepositQuote = new double[] {
			0.0004,		// 1D
			0.0004,		// 2D
			0.0004		// 3D
		};

		String[] astrShortEndOISMaturityTenor = new String[] {
			"1W",
			"2W",
			"3W",
			"1M"
		};

		double[] adblShortEndOISQuote = new double[] {
			0.00070,    //   1W
			0.00069,    //   2W
			0.00078,    //   3W
			0.00074     //   1M
		};

		String[] astrOISFuturesEffectiveTenor = new String[] {
			"1M",
			"2M",
			"3M",
			"4M",
			"5M"
		};

		String[] astrOISFuturesMaturityTenor = new String[] {
			"1M",
			"1M",
			"1M",
			"1M",
			"1M"
		};

		double[] adblOISFuturesQuote = new double[] {
			 0.00046,    //   1M x 1M
			 0.00016,    //   2M x 1M
			-0.00007,    //   3M x 1M
			-0.00013,    //   4M x 1M
			-0.00014     //   5M x 1M
		};

		String[] astrLongEndOISMaturityTenor = new String[] {
			"15M",
			"18M",
			"21M",
			"02Y",
			"03Y",
			"04Y",
			"05Y",
			"06Y",
			"07Y",
			"08Y",
			"09Y",
			"10Y",
			"11Y",
			"12Y",
			"15Y",
			"20Y",
			"25Y",
			"30Y"
		};

		double[] adblLongEndOISQuote = new double[] {
			0.00002,    //  15M
			0.00008,    //  18M
			0.00021,    //  21M
			0.00036,    //   2Y
			0.00127,    //   3Y
			0.00274,    //   4Y
			0.00456,    //   5Y
			0.00647,    //   6Y
			0.00827,    //   7Y
			0.00996,    //   8Y
			0.01147,    //   9Y
			0.01280,    //  10Y
			0.01404,    //  11Y
			0.01516,    //  12Y
			0.01764,    //  15Y
			0.01939,    //  20Y
			0.02003,    //  25Y
			0.02038     //  30Y
		};

		return LatentMarketStateBuilder.SmoothOvernightCurve (
			dtSpot,
			strCurrency,
			astrDepositMaturityTenor,
			adblDepositQuote,
			"Rate",
			astrShortEndOISMaturityTenor,
			adblShortEndOISQuote,
			"SwapRate",
			astrOISFuturesEffectiveTenor,
			astrOISFuturesMaturityTenor,
			adblOISFuturesQuote,
			"SwapRate",
			astrLongEndOISMaturityTenor,
			adblLongEndOISQuote,
			"SwapRate"
		);
	}

	public static final void main (
		final String[] astrArgs)
		throws Exception
	{
		/*
		 * Initialize the Credit Analytics Library
		 */

		EnvManager.InitEnv ("");

		String strCurrency = "EUR";

		JulianDate dtSpot = DateUtil.Today().addBusDays (
			2,
			strCurrency
		);

		MergedDiscountForwardCurve dcOvernight = OvernightCurve (
			dtSpot,
			strCurrency
		);

		String[] astrCDSMaturityTenor = new String[] {
			"06M",
			"01Y",
			"02Y",
			"03Y",
			"04Y",
			"05Y",
			"07Y",
			"10Y"
		};

		double[] adblCDSParSpread = new double[] {
			 60.,	//  6M
			 68.,	//  1Y
			 88.,	//  2Y
			102.,	//  3Y
			121.,	//  4Y
			138.,	//  5Y
			168.,	//  7Y
			188.	// 10Y
		};

		CreditCurve cc = LatentMarketStateBuilder.CreditCurve (
			dtSpot,
			"QTX",
			astrCDSMaturityTenor,
			adblCDSParSpread,
			adblCDSParSpread,
			"FairPremium",
			dcOvernight
		);

		String strLatentStateLabel = cc.label().fullyQualifiedName();

		System.out.println ("\n\n\t||----------------------------------------------------------||");

		for (int i = 0; i < adblCDSParSpread.length; ++i)
			System.out.println (
				"\t||  " + strLatentStateLabel +
				" |  CDS  | " + astrCDSMaturityTenor[i] + "  | " +
				FormatUtil.FormatDouble (adblCDSParSpread[i], 3, 1, 1.) +
				" | Fair Premium | " +
				FormatUtil.FormatDouble (cc.survival (astrCDSMaturityTenor[i]), 1, 6, 1.) +
				"  ||"
			);

		System.out.println ("\t||----------------------------------------------------------||\n");
	}
}
